CBOE Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4732	13.95***
α ARCH Response to squared shocks	0.1544	14.05***
β GARCH Volatility persistence	0.8369	151.70***
γ leverage Additional response to negative shocks	-0.0331	-1.96*

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Song Hong Aluminium Jsc GJR-GARCH Volatility Analysis

Date Range:

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